This paper investigates the stochastic nature of the unemployment rate allowing for cross-section dependence from a panel of US state-level data. We employ the PANIC method to test the null of nonstationarity for the common and idiosyncratic components separately. We find significant evidence of...

We utilize the nonlinear unit root tests proposed by Park and Shintani (2005) and find strong evidence of nonlinear mean reversion between a US stock index and the stock indices in France, Germany, Italy and the UK. We identified an inaction band where deviations of these international stock...

This paper investigates the stochastic nature of the unemployment rate allowing for cross-section dependence from a panel of US state-level data. We first employ the PANIC method to identify the common and idiosyncratic components. Powerful recursive mean adjustment (RMA) methods are used to...

We look at alternative methods to correct a downward bias in half-life estimates of relative stock prices among the G7 countries. We compare a grid-[alpha] median-unbiased method and a recursive mean adjustment method.

Estimation of the employment effects of changes in capital investment is a standard tool in public policy debates. Typically, such predictions are based on employment multipliers derived from Input-Output analysis. In this paper, we measure the employment effects of changes in capital investment...

The disparity between closed-end funds¡¯ net asset values and prices has been the focus of numerous research papers over the past half century. Various explanations for this discrepancy have been investigated, with mixed findings. A relatively recent topic is that of the role of small investor...